Timeline for Computing a density function for the integral of a stochastic process, given its transition function
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Nov 12, 2012 at 18:27 | comment | added | Paul Tupper | The following paper might help you identify situations where there is an explicit expression for the moment generating function of the integral arxiv.org/abs/0710.1599 (Albanese and Lawi, 2007.) | |
| Nov 11, 2012 at 19:10 | comment | added | user21816 | Ah, yes it is, thank you. I just edited that detail into the post. | |
| Nov 11, 2012 at 19:09 | history | edited | user21816 | CC BY-SA 3.0 |
added 7 characters in body
|
| Nov 11, 2012 at 18:58 | comment | added | Robert Israel | Is it a Markov process? If not, you might need more than that to describe the process. | |
| Nov 11, 2012 at 18:34 | history | asked | user21816 | CC BY-SA 3.0 |